Using a saucepan over low heat or a heat-proof bowl in the microwave, warm the Milk slightly, add Yeast and Sugar, stir and set aside for 5 minutes.
Place Bread Flour and Salt in a large bowl, and mix to combine. Make a well in the centre and pour in the yeast mixture, Egg (save 1/2 for the Cookie Crust) and melted Butter. Mix well to form a soft dough.
Turn out onto a lightly floured surface. Knead for 2 to 3 minutes, gradually adding extra flour if required, until smooth and elastic. Place the dough in a bowl, cover with plastic wrap, and set aside in a warm place for 1 hour or until doubled in size.
Mix softened Butter and Sugar until smooth, add the remaining Egg and Vanilla, and mix well. Add Flour and mix to combine. If you need more moisture, add small amount of Milk and knead gently and divide into 8 portions.
Divide the bread dough into 8 portions as well, and make them into round balls.
Roll one portion of cookie dough and roll out, using a rolling pin, to about 15cm round. Place one ball of bread dough in centre and cover the bread dough with the cookie dough. Repeat to make 8 buns.
Preheat oven to 180C. Line a large baking tray with baking paper.
Places some sugar on a small plate, coat the top side of each bun with the sugar, and make a pattern using the back of a knife, then place the bun on the prepared tray. Repeat with the rest of the buns.
Bake for 15 minutes or until top is golden.
